First Difference and Running Sum
-
In DSP (Digital Signal Processing) there are processes that can change signals in ways that resemble differentiation and integration.
Only the terms differentiation and integration refers to actions on continuous signals.
For actions on discreet signals these terms are given other names:
First Derivative (continuous signals) = First Difference (discreet signals)
Integration (continuous signals) = Running Sum (discreet signals)
The relation (equation) for the First Difference is: y[n] = x[n] – x[n-1]
The relation(equation) for the Running Sum is: y[n] = x[n] + y[n-1]
This kind of equation is also called, Difference Equation or Recursion Equation.
In code:
//Calculation of the First Difference
y=0
For i = 1 to N-1
y = Close[i] – Close[i-1]
Next
Return y
//Calculation of the Running Sum
y=Close
For i = 1 to N-1
y = Close[i] + y[i-1]
Next
Return y
I think the First Difference should be (see attached pic):
y[n] = x[n + 1] – x[n]
If this is the case, then the code to get Ys is:
//Calculation of the First Difference y = Close – Close[1] Return yFOR…NEXT is useless, as you only return the value calculated by the LAST iteration.
What exactly do you want to calculate?
As you have put it, it’s just a momentum indicator over the last 2 candles.DefParam DrawOnLastBarOnly = True UnSet($y) $y[0]=0 DrawHLine(0) Coloured(0,0,255) N=2000 For i = 1 to N-1 $y[lastset($y)+1] = close[i] - close[i-1] DrawPoint(BarIndex[i],$y[i],2) DrawSegment(BarIndex[i-1],$y[i-1],BarIndex[i],$y[i]) Next ReturnDefParam DrawOnLastBarOnly = True UnSet($y) $y[0]=0 UnSet($x) $x[0]=0 N=2000 For i = 1 to N-1 $x[LastSet($x)+1] = Close[i] - Close[i-1] Next For i = 1 to N-1 $y[lastset($y)+1] = $y[i-1] + $x[i] DrawPoint(BarIndex[i],$y[i],2) DrawSegment(BarIndex[i-1],$y[i-1],BarIndex[i],$y[i]) Next ReturnI’ve become a little wiser 😉 partly thanks to the forum…
The theory of the “first difference” and the “running sum” is correct but the execution was not correct, I had to use arrays…
The “first difference” is the discrete version of the first derivative or the slope of the input signal (close).
The “running sum” is the discrete version of the integral or when you integrate the first derivative you get the original signal (close).
- You must be logged in to reply to this topic.
Summary
This topic contains 7 replies,
has 2 voices, and was last updated by 
3 years, 8 months ago.
Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 08/04/2021 |
| Status: | Active |
| Attachments: | 4 files |
